To investigate the effects of selenium on the main active components of Cordyceps militaris fruit bodies, selenium-enriched cultivation of C. militaris and the main active components of the fruit bodies were studied. Superoxide dismutase (SOD) activity and contents of cordycepin, cordycepic acid, and organic selenium of fruit bodies were sodium selenite concentration dependent; contents of adenosine and cordycep polysaccharides were significantly enhanced by adding sodium selenite in the substrates, but not proportional to sodium selenite concentrations. In the cultivation of wheat substrate added with 18.0 ppm sodium selenite, SOD activity and contents of cordycepin, cordycepic acid, adenosine, cordycep polysaccharides, and total amino acids were enhanced by 121/145%, 124/74%, 325/520%, 130/284%, 121/145%, and 157/554%, respectively, compared to NS (nonselenium-cultivated) fruit bodies and wild Cordyceps sinensis; organic selenium contents of fruit bodies reached 6.49 mg/100 g. So selenium-enriched cultivation may be a potential way to produce more valuable medicinal food as a substitute for wild C. sinensis.